Credit risk: Difference between revisions
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imported>Doug Williamson (Removed broken link to Will Spinney article) |
imported>Doug Williamson (Remove surplus link.) |
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* [[Exchange-for-value system]] | * [[Exchange-for-value system]] | ||
* [[KMV]] | * [[KMV]] | ||
* [[Merton distance-to-default]] | * [[Merton distance-to-default]] | ||
* [[Operational risk]] | * [[Operational risk]] | ||
Revision as of 20:11, 9 February 2019
1.
The risk that a counterparty will not settle an obligation for full value, either when due or at any time thereafter.
In exchange-for-value settlement systems, the risk is generally defined to include both replacement cost risk and principal risk.
2.
A weighted measure reflecting both the maximum possible amount of the credit loss (also known as the credit exposure), and the likelihood of such loss.
See also
- Banker's payment
- CCR
- Counterparty risk
- Covenant
- Credit default swap
- Credit derivative
- Credit exposure
- Credit risk diversification
- Capital risk
- ECL
- Event risk
- Exchange-for-value system
- KMV
- Merton distance-to-default
- Operational risk
- Pre-settlement risk
- Price risk
- Prime bank
- Principal risk
- Putting a limit on losses
- Replacement cost risk
- Reputational risk
- Risk mitigation
- Sovereign risk
- Transaction risk
